Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1175
Annualized Std Dev 0.2525
Annualized Sharpe (Rf=0%) 0.4653

Row

Daily Return Statistics

Close
Observations 3880.0000
NAs 1.0000
Minimum -0.1102
Quartile 1 -0.0076
Median 0.0012
Arithmetic Mean 0.0006
Geometric Mean 0.0004
Quartile 3 0.0090
Maximum 0.1082
SE Mean 0.0003
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0011
Variance 0.0003
Stdev 0.0159
Skewness -0.1583
Kurtosis 3.8580

Downside Risk

Close
Semi Deviation 0.0115
Gain Deviation 0.0106
Loss Deviation 0.0116
Downside Deviation (MAR=210%) 0.0160
Downside Deviation (Rf=0%) 0.0112
Downside Deviation (0%) 0.0112
Maximum Drawdown 0.5718
Historical VaR (95%) -0.0257
Historical ES (95%) -0.0371
Modified VaR (95%) -0.0251
Modified ES (95%) -0.0407
From Trough To Depth Length To Trough Recovery
2007-07-20 2008-11-21 2010-04-06 -0.5718 680 340 340
2011-02-15 2011-10-03 2013-08-13 -0.3191 627 160 467
2020-02-07 2020-03-16 2020-06-01 -0.3171 79 26 53
2015-06-19 2016-02-09 2016-09-22 -0.3000 292 152 140
2006-04-06 2006-07-21 2007-01-11 -0.2616 193 74 119

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA -1 -0.1 0.5 1 -0.7 1.6 -0.6 0.8
2006 0.7 4.3 0 -0.8 2.3 0.3 -2 -0.1 -0.6 -2.5 -1.9 -0.7 -1.1
2007 0.6 -1.2 0.3 0.2 0.2 -0.7 -0.2 1.3 1.5 -2.4 0.4 -0.4 -0.6
2008 0.9 -2.8 3.8 2.9 0.4 -0.7 0.9 -1.4 -2.8 2.7 -5.9 3.9 1.2
2009 -4.3 -0.9 2.4 1.1 3.6 1.9 0.3 -2.6 -3.6 -3.4 2.3 -0.9 -4.4
2010 1.7 2 0.1 -2.2 -4.1 0.4 -0.6 3.6 -0.2 -0.6 2.4 -0.3 2
2011 1.9 -2.3 -1.3 0.7 -2.8 1.2 -0.7 -1 -3.1 -2.9 -1.1 -0.5 -11.4
2012 1.6 0.6 -0.1 0.6 -4.3 4.2 -1.3 0.1 -1.2 2.8 0.3 1.4 4.5
2013 0.5 -0.4 -1.8 -1.3 -0.6 0.7 1.7 -0.7 0.7 -1.2 0.1 1.5 -0.9
2014 0.2 -1.3 2.4 0.2 -2.2 1.3 -1.6 0.3 -1.8 2.1 -1.2 -0.3 -2
2015 -1.3 0 -1.2 0.8 -0.1 0.7 0.4 -2.9 0.9 0 1.2 -1.2 -2.8
2016 0.3 0.7 0 -1.4 0.8 1.5 0.2 -0.7 0.8 -0.5 -3.2 -0.7 -2.5
2017 0.2 1.2 0 0.2 1.5 0.4 0.5 0 -0.6 -1 0.5 -0.6 2.3
2018 0.2 -2.3 1.4 0.1 1.6 0.3 0.9 0.8 -1.2 1 -0.1 1 3.8
2019 1 0.9 1.1 -1.6 -1.7 0.8 -0.9 0.1 -0.9 0.8 -0.2 -0.1 -0.7
2020 -2.1 -1.3 -3.7 -2.6 1.3 -0.1 0.7 2.2 1.3 -3 0.1 -0.2 -7.4
2021 2.3 3.5 1 NA NA NA NA NA NA NA NA NA 6.9

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart